کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9727656 1480206 2005 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Microscopic model of financial markets based on belief propagation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Microscopic model of financial markets based on belief propagation
چکیده انگلیسی
We present a simple microscopic model of financial markets based on belief propagation in order to simulate the dynamics of the stock markets. A two-dimensional small-world communication structure is introduced in our model and the beliefs of market leaders spread on the network which results in the herd behaviors of traders. Most of the stylized aspects of the financial market time series, including multifractal property, are reproduced by the model. A direct comparison is made with the daily closures of the Shenzhen composite index.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 354, 15 August 2005, Pages 496-504
نویسندگان
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